The　dairy　sector　in　the　European　Union　(EU)　has　experienced　policy　changes　and　market　shocks　recently.　Using　the　global　vector　autoregressive　(GVAR)　model,　this　paper　explores　regional　market　integration,　the　feedback　between　market　shocks　and　price　dynamics,　and　the　link　between　EU＇s　cheese　export　markets　and　energy　market.　This　paper　assesses　and　compares　which　influencing　factors　are　typically　associated　with　intra-EU　and　extra-EU　cheese　export　price　movement　with　regards　to　shocks　to　crude　oil　price,　farm-gate　raw　milk　price,　and　consumer　price　index　(CPI)　for　food　and　cheese　production　of　six　representative　EU　member　states,　respectively.　Using　generalized　impulse　response　functions,　this　paper　finds　that　EU＇s　internal　cheese　export　market　is　not　well　integrated,　while　EU＇s　external　market　is　well　integrated,　with　France　as　an　exception.　It　also　finds　that　the　external　cheese　export　market　is　vulnerable　to　shocks　from　the　energy　market　compared　to　the　internal　market.　Raw　milk　prices　from　the　upstream　supply　chain　have　strong　spill-over　effects　on　EU＇s　internal　cheese　export　market,　yet　their　impact　on　extra-EU　cheese　export　prices　is　relatively　less　significant.　The　movement　patterns　of　extra-EU　cheese　export　prices　of　Ireland　and　the　UK　show　similar　patterns　in　the　long　run.　It　is　concluded　that　the　dynamics　of　cheese　export　prices　in　the　internal　and　external　markets　of　the　EU　are　different　under　market　shocks.